Monday Link Dump

It's been a hectic week, so I haven't posted much. As a result, there's a number of interesting pieces that have been sitting in my bloglines account (some for a while). So, it's time for another link dump:

Investing:

We were just talking in class about the "neglected firm" effect, where firms with less (or no) analyst coverage earn higher risk-adjusted returns. CXO Advisory Group just highlighted a paper on a variant of this phenomenon. In "Media Coverage and the Cross-Section of Stock Returns", Fang and Peress find "stocks with no media coverage outperform stocks with high media coverage, rebalanced monthly, by 0.23% per month (3% per year) after adjusting for market, size, book-to-market, momentum and liquidity factors.

And in another piece, CXO reports on a paper by Hur and Sharma titled "Stock Market Returns and Size Premium". This paper indicates that the "Size Premium" (where smaller firms earn abnormal risk-adjusted returns is driven by down markets. In other words, small firms earn a "fair" risk adjusted return in up markets, buy have positive risk adjusted returns in down markets.